Asymptotic behavior of the processes describing some insurance models

DOI10.1080/03610926.2014.985840MaRDI QIDQ2807804zbMATH OpenOpenAlexFDO

Authors A. Gromov, Ekaterina V. Bulinskaya

Publication date 25 May 2016

Published in Communications in Statistics. Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2014.985840

zbMATH Keywords

dynamic programmingproportional reinsuranceoptimal and asymptotically optimal controlperiodic-review model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Discrete-time control/observation systems (93C55) Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 5223066 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• A large deviations approach to asymptotically optimal control of crisscross network in heavy traffic
• Approximation of Optimal Reinsurance and Dividend Payout Policies
• Asymptotically Optimal Algorithms for Job Shop Scheduling and Packet Routing
• Asymptotically optimal controls for time-inhomogeneous networks
• Asymptotically optimal production policies in dynamic stochastic jobshops with limited buffers
• Control Techniques for Complex Networks
• Optimal control of capital injections by reinsurance in a diffusion approximation
• Optimal dividend strategies in a Cramér-Lundberg model with capital injections
• Optimal dividend strategies in discrete risk model with capital injections
• Some Optimal Dividends Problems
• Some aspects of decision making under uncertainty
• Stochastic-Process Limits

Cited in

(10)

• Modeling of an insurance system and its large deviations analysis
• Optimal control and sensitivity analysis for two risk models
• Reliability of a discrete-time system with investment
• Some aspects of decision making under uncertainty
• Asymptotic analysis and optimization of some insurance models
• Insurance models under incomplete information
• Bachelier model with stopping time and its insurance application
• scientific article; zbMATH DE number 2101528 (Why is no real title available?)
• A note on a by-claim risk model: Asymptotic results
• Insurance claims modulated by a hidden Brownian marked point process

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